We study daily money market mutual fund flows at the individual share class level during the crisis of September 2008. The empirical approach that we apply to this fine granularity of data brings new insights into the investor and portfolio holding characteristics that are conducive to run-risk...

We study daily money market mutual fund flows at the individual share class level during the crisis of September 2008. The empirical approach that we apply to this fine granularity of data brings new insights into the investor and portfolio holding characteristics that are conducive to run-risk...

We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data facilitates new insights into investor and portfolio holding characteristics conducive to run risk in cash-like asset pools. Empirically, we find that...

We study investor redemptions and portfolio rebalancing decisions of prime money market mutual funds (MMFs) during the Eurozone crisis. We find that sophisticated investors selectively acquire information about MMFs' risk exposures to Europe, which leads managers to withdraw funding from...

For many benchmark predictor variables, short-horizon return predictability in the U.S. stock market is local in time as short periods with significant predictability (‘pockets') are interspersed with long periods with little or no evidence of return predictability. We document this result...